Correlation Between ProShares VIX and ProShares Ultra
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and ProShares Ultra at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining ProShares VIX and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares VIX Mid Term and ProShares Ultra Euro, you can compare the effects of market volatilities on ProShares VIX and ProShares Ultra and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in ProShares VIX with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and ProShares Ultra.
Diversification Opportunities for ProShares VIX and ProShares Ultra
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ProShares and ProShares is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and ProShares Ultra Euro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra Euro and ProShares VIX is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on ProShares VIX Mid Term are associated (or correlated) with ProShares Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Ultra Euro has no effect on the direction of ProShares VIX i.e., ProShares VIX and ProShares Ultra go up and down completely randomly.
Pair Corralation between ProShares VIX and ProShares Ultra
Given the investment horizon of 90 days ProShares VIX Mid Term is expected to generate 1.44 times more return on investment than ProShares Ultra. However, ProShares VIX is 1.44 times more volatile than ProShares Ultra Euro. It trades about -0.06 of its potential returns per unit of risk. ProShares Ultra Euro is currently generating about -0.18 per unit of risk. If you would invest 1,463 in ProShares VIX Mid Term on August 23, 2024 and sell it today you would lose (44.00) from holding ProShares VIX Mid Term or give up 3.01% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares VIX Mid Term vs. ProShares Ultra Euro
Performance |
| Timeline |
| ProShares VIX Mid |
| ProShares Ultra Euro |
ProShares VIX and ProShares Ultra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and ProShares Ultra
The main advantage of trading using opposite ProShares VIX and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, ProShares Ultra can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ProShares Ultra will offset losses from the drop in ProShares Ultra's long position.| ProShares VIX vs. iPath Series B | ProShares VIX vs. ProShares VIX Short Term | ProShares VIX vs. ProShares Short VIX | ProShares VIX vs. ProShares Ultra 20 |
| ProShares Ultra vs. Invesco DB Dollar | ProShares Ultra vs. iPath Series B | ProShares Ultra vs. ProShares VIX Short Term | ProShares Ultra vs. ProShares VIX Mid Term |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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